Stochastic Models for Prices Dynamics in Energy and Commodity Markets An Infinite-Dimensional Perspective /
This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and commodity markets. In this book, the well-known Heath–Jarrow–Morton approach...
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| Hlavní autoři: | , |
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| Korporativní autor: | |
| Médium: | Elektronický zdroj E-kniha |
| Jazyk: | angličtina |
| Vydáno: |
Cham :
Springer International Publishing : Imprint: Springer,
2023.
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| Vydání: | 1st ed. 2023. |
| Edice: | Springer Finance,
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| Témata: | |
| On-line přístup: | https://doi.org/10.1007/978-3-031-40367-5 |
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Obsah:
- 1 Introduction
- Part I: Mathematical Tools
- 2 Lévy processes on Hilbert spaces
- 3 The Filipović space and operators
- 4 Stochastic integration and partial differential equations
- Part II: Modelling the Forward Price Dynamics and Derivatives Pricing
- 5 Spot models and forward pricing
- 6 Heath–Jarrow–Morton type models
- 7 Pricing of commodity and energy options
- Appendix A: Collection of some fundamental properties of the Filipović space.